Bayesian estimation of incompletely observed diffusions
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Publication:5086440
Abstract: We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is presented which is based on simulating diffusion bridges conditional on a noisy incomplete observation at an intermediate time. The dynamics of such filtered bridges are derived and it is shown how these can be simulated using a generalised version of the guided proposals introduced in Schauer et al. (2016).
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Cited in
(17)- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Data augmentation-based statistical inference of diffusion processes
- A multiresolution method for parameter estimation of diffusion processes
- Continuous-discrete smoothing of diffusions
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Bayesian model selection for partially observed diffusion models
- Bayesian diffusion process models with time-varying parameters
- Conditioning diffusions with respect to incomplete observations
- Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- The computational cost of blocking for sampling discretely observed diffusions
- Asymptotic Bayesian estimation of a first order equation with small diffusion
- Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
- Conditioning continuous-time Markov processes by guiding
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
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